Pricing Dividend Protected Options Listed on the Warsaw Stock Exchange
Ładowanie...
Data
2007
Autorzy
Tytuł czasopisma
ISSN czasopisma
Tytuł tomu
Wydawca
Wyższa Szkoła Biznesu – National-Louis University by Management Sciences Institute
Abstrakt
Due to the contingent dividend protection feature of the stock options
listed on the Warsaw Stock Exchange, the standard Black-Scholes option price formulae do not apply in this case. We derive closed form price
formulae and the put-call parity relationship for WSE stock options, and
discuss the price differences between the standard and the modified
formulae.
Opis
Słowa kluczowe
Cytowanie
Nowy Sącz Academic Review, 2007, no. 3, s. 4-13